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Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
Serena Ng,Pierre Perron +1 more
- Iss: 9423
Abstract:
Abstract We analyze the choice of the truncation lag in the context of the Said-Dickey test for the presence of a unit root in a general autoregressive moving average model. It is shown that a deterministic relationship between the truncation lag and the sample size is dominated by data-dependent rules that take sample information into account. In particular, we study data-dependent rules that are not constrained to satisfy the lower bound condition imposed by Said-Dickey. Akaike's information criterion falls into this category. The analytical properties of the truncation lag selected according to a class of information criteria are compared to those based on sequential testing for the significance of coefficients on additional lags. The asymptotic properties of the unit root test under various methods for selecting the truncation lag are analyzed, and simulations are used to show their distinctive behavior in finite samples. Our results favor methods based on sequential tests over those based on informat...read more
Citations
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Testing for unit roots in heterogeneous panels
TL;DR: In this article, a unit root test for dynamic heterogeneous panels based on the mean of individual unit root statistics is proposed, which converges in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension)→∞.
Journal ArticleDOI
Lag length selection and the construction of unit root tests with good size and power
Serena Ng,Pierre Perron +1 more
TL;DR: In this paper, a modified information criterion (MIC) with a penalty factor that is sample dependent was proposed to select appropriate truncation lag values for unit root tests with a moving-average root close to -1.
Journal ArticleDOI
Testing for error correction in panel data
TL;DR: This article proposed new error correction-based cointegration tests for panel data, which have good small-sample properties with small size distortions and high power relative to other popular residual-based panel coIntegration tests.
Journal ArticleDOI
Numerical distribution functions for unit root and cointegration tests
TL;DR: In this article, the authors used response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics, which can be used to calculate both asymptotic and finite sample critical values and P-values for any of the tests.
Journal ArticleDOI
Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks
Junsoo Lee,Mark C. Strazicich +1 more
TL;DR: In this paper, an endogenous two-break Lagrange multiplier unit root test with breaks under both the null and alternative hypotheses is proposed, and it is shown that rejection of the null unambiguously implies trend stationarity.
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Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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Testing for unit roots in autoregressive-moving average models of unknown order
Said E. Said,David A. Dickey +1 more
TL;DR: In this paper, the authors developed a test for unit roots which is based on an approximation of an autoregressive-moving average model by an auto-gression, which has a limit distribution whose percentiles have been tabulated.
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